Package: lpirfs 0.2.4.9000

Philipp Adämmer

lpirfs: Local Projections Impulse Response Functions

Provides functions to estimate and visualize linear as well as nonlinear impulse responses based on local projections by Jordà (2005) <doi:10.1257/0002828053828518>. The methods and the package are explained in detail in Adämmer (2019) <doi:10.32614/RJ-2019-052>.

Authors:Philipp Adämmer [aut, cre], James P. LeSage [ctb], Mehmet Balcilar [ctb], Jon Danielsson [ctb]

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lpirfs.pdf |lpirfs.html✨
lpirfs/json (API)
NEWS

# Install 'lpirfs' in R:
install.packages('lpirfs', repos = c('https://adaemmerp.r-universe.dev', 'https://cloud.r-project.org'))

Bug tracker:https://github.com/adaemmerp/lpirfs/issues

Uses libs:
  • openblas– Optimized BLAS
  • c++– GNU Standard C++ Library v3
Datasets:

On CRAN:

Conda:

openblascpp

6.68 score 44 stars 108 scripts 669 downloads 39 exports 50 dependencies

Last updated 1 days agofrom:bbc8bd9c43. Checks:12 OK. Indexed: yes.

TargetResultLatest binary
Doc / VignettesOKMar 20 2025
R-4.5-win-x86_64OKMar 20 2025
R-4.5-mac-x86_64OKMar 20 2025
R-4.5-mac-aarch64OKMar 20 2025
R-4.5-linux-x86_64OKMar 20 2025
R-4.4-win-x86_64OKMar 20 2025
R-4.4-mac-x86_64OKMar 20 2025
R-4.4-mac-aarch64OKMar 20 2025
R-4.4-linux-x86_64OKMar 20 2025
R-4.3-win-x86_64OKMar 20 2025
R-4.3-mac-x86_64OKMar 20 2025
R-4.3-mac-aarch64OKMar 20 2025

Exports:create_lagscreate_lin_datacreate_nl_datacreate_panel_dataget_mat_cholget_resids_olsget_robust_cov_panelget_robust_vcxt_panelget_std_errget_std_err_tslsget_vals_lagcritget_vals_switchingget_var_lagcrithp_filterlp_linlp_lin_ivlp_lin_panellp_nllp_nl_ivlp_nl_panelnewey_westnewey_west_pwnewey_west_tslsols_diagnostplot_linplot_nlplot.lpirfs_lin_iv_objplot.lpirfs_lin_objplot.lpirfs_lin_panel_objplot.lpirfs_nl_iv_objplot.lpirfs_nl_objplot.lpirfs_nl_panel_objsummary.lpirfs_lin_iv_objsummary.lpirfs_lin_objsummary.lpirfs_lin_panel_objsummary.lpirfs_nl_iv_objsummary.lpirfs_nl_objsummary.lpirfs_nl_panel_objvar_one

Dependencies:bdsmatrixclicodetoolscollapsecolorspacedigestdoParalleldplyrfansifarverforeachFormulagenericsggplot2gluegridExtragtableisobanditeratorslabelinglatticelifecyclelmtestmagrittrMASSMatrixmaxLikmgcvmiscToolsmunsellnlmepillarpkgconfigplmR6rbibutilsRColorBrewerRcppRcppArmadilloRdpackrlangsandwichscalestibbletidyselectutf8vctrsviridisLitewithrzoo

Replications and applications with lpirfs

Philipp Adämmer

Rendered fromlpirfs_vignette.Rmdusingknitr::rmarkdownon Mar 20 2025.

Last update: 2021-03-22
Started: 2019-10-08

Readme and manuals

Help Manual

Help pageTopics
Local Projection Impulse Response Functionslpirfs-package lpirfs
Data to estimate fiscal multipliersag_data
Function to get robust covariance matrix for panel dataget_robust_cov_panel
Decompose a times series via the Hodrick-Prescott filterhp_filter
Data to estimate the effects of interest rate rules for monetary policyinterest_rules_var_data
Compute linear impulse responseslp_lin
Compute linear impulse responses with identified shock and/or with 2SLSlp_lin_iv
Compute linear impulse responses with local projections for panel datalp_lin_panel
Compute nonlinear impulse responseslp_nl
Compute nonlinear impulse responses with identified shocklp_nl_iv
Compute nonlinear impulse responses for panel datalp_nl_panel
Base methods for lpirfs_obj objectslpirfs_obj-methods-base
Data to estimate a standard monetary VARmonetary_var_data
Compute and display plots of linear impulse responsesplot_lin
Compute and display plots of nonlinear impulse responsesplot_nl
Base print() function to plot all impulse responses from linear lpirfs objectplot.lpirfs_lin_iv_obj
Base print() function to plot all impulse responses from linear lpirfs objectplot.lpirfs_lin_obj
Base print() function to plot all impulse responses from linear lpirfs objectplot.lpirfs_lin_panel_obj
Base print() function to plot all impulse responses from linear lpirfs objectplot.lpirfs_nl_iv_obj
Base print() function to plot all impulse responses from nonlinear lpirfs objectplot.lpirfs_nl_obj
Base print() function to plot all impulse responses from linear lpirfs objectplot.lpirfs_nl_panel_obj
Summary for nonlinear lpirfs objectsummary.lpirfs_lin_iv_obj
Summary for linear lpirfs objectsummary.lpirfs_lin_obj
Summary for nonlinear lpirfs objectsummary.lpirfs_lin_panel_obj
Summary for nonlinear lpirfs objectsummary.lpirfs_nl_iv_obj
Summary for nonlinear lpirfs objectsummary.lpirfs_nl_obj
Summary for nonlinear lpirfs objectsummary.lpirfs_nl_panel_obj